captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

nominal government bond yields and the stock price dynamics of six major economies from 1988 until 2019. We calibrate the …-year government bond yields allows one to generate articifical time series of bond yields and price-consumption ratios that follow the …

corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …

pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous. …

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange …-market effects of order flow. In particular, while Treasury bonds play a dominant role in stock-bond portfolio rebalancing, corporate … bonds can replace Treasury bonds as a safe “haven” during extreme stock market conditions or during a fall in Treasury bond …